AMGL[Strategy] vs INav[Benchmark]

30 Jul, 2025 - 19 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	100.0%
Cumulative Return	29.96%	29.19%
CAGR﹪	96.13%	93.14%
Sharpe	3.02	1.58
Prob. Sharpe Ratio	92.5%	67.15%
Smart Sharpe	2.72	1.43
Sortino	5.07	2.69
Smart Sortino	4.57	2.43
Sortino/√2	3.59	1.91
Smart Sortino/√2	3.23	1.71
Omega	1.66	1.66
Max Drawdown	-10.72%	-14.76%
Longest DD Days	59	100
Volatility (ann.)	19.61%	40.25%
R^2	0.18	0.18
Information Ratio	-0.01	-0.01
Calmar	8.97	6.31
Skew	0.04	2.29
Kurtosis	1.39	32.17
Expected Daily	0.25%	0.25%
Expected Monthly	4.46%	4.36%
Expected Yearly	29.96%	29.19%
Kelly Criterion	22.04%	32.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.77%	-3.89%
Expected Shortfall (cVaR)	-1.77%	-3.89%
Max Consecutive Wins	4	8
Max Consecutive Losses	3	4
Gain/Pain Ratio	0.76	0.59
Gain/Pain (1M)	68.76	68.77
Payoff Ratio	1.32	1.47
Profit Factor	1.76	1.59
Common Sense Ratio	2.78	1.88
CPC Index	1.29	1.4
Tail Ratio	1.58	1.18
Outlier Win Ratio	3.19	2.66
Outlier Loss Ratio	3.47	2.42
MTD	5.42%	5.37%
3M	14.15%	13.63%
6M	29.96%	29.19%
YTD	29.96%	29.19%
1Y	29.96%	29.19%
3Y (ann.)	96.13%	93.14%
5Y (ann.)	96.13%	93.14%
10Y (ann.)	96.13%	93.14%
All-time (ann.)	96.13%	93.14%
Best Day	4.31%	18.48%
Worst Day	-3.92%	-12.81%
Best Month	13.62%	13.53%
Worst Month	-0.39%	-0.42%
Best Year	29.96%	29.19%
Worst Year	29.96%	29.19%
Avg. Drawdown	-1.5%	-3.49%
Avg. Drawdown Days	7	24
Recovery Factor	2.8	1.98
Ulcer Index	0.04	0.07
Serenity Index	0.8	0.57
Avg. Up Month	6.8%	6.8%
Avg. Down Month	-0.39%	-0.42%
Win Days	55.67%	59.8%
Win Month	83.33%	66.67%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.21	-
Alpha	0.51	-
Correlation	42.93%	-
Treynor Ratio	109.74%	-